In contemporary communications, Golay, periodic and Z- complementary sequence sets play a very important role, since such sequence sets possess impulse-like or zero correlation zone (ZCZ) autocorrelation. On the other hand, the advantages of the signals over the quadrature amplitude modulation (QAM) constellation are more and more prominent. Hence, the design of such sequence sets over the QAM constellation has turned into one of the all-important issues in communications. Therefore, the construction methods of such sequence sets over the 16-QAM constellation are investigated, in this letter, and our goals are arrived at by the known quaternary Golay, periodic and Z- complementary sequence sets. Finally, many examples illuminate the validity of the proposed methods.